Bury was born and raised in County Monaghan, educated first by his parents, then at Foyle College in Londonderry and Trinity College in Dublin, where he graduated in 1882 and was made a fellow in 1885, at the age of 24. In 1893 he gained a chair in modern history at Trinity College, which he held for nine years, thereafter joining the Cambridge University faculty. He remained at Cambridge, as Regius Professor of Modern History from 1902, until his death at the age of 65 in Rome.

Bury's writings, on subjects ranging from ancient Greece to the 19th-century papacy, are at once scholarly and accessible to the layman. His two works on the philosophy of history elucidated the Victorian ideals of progress and rationality which undergirded his more specific histories. He also led a revival of Byzantine history, which English-speaking historians, following Edward Gibbon, had largely neglected. He contributed, and was himself the subject of, an article in the 1911 Encyclopædia Britannica.